Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

Sichuan Biokin Pharmaceutical / Index Rebalance

<ul>
<li>The December 2024 index review results for China's CSI 300 and CSI 500 indices were announced after market close on Friday 29th November 2024.</li>
<li>There will be 16 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500.</li>
<li>The CSI 300 and CSI 500 index rebal events could trigger US$4.5bn and US$3.8bn in one-way flows respectively.</li>
</ul>


The December 2024 index review results for China's CSI 300 and CSI 500 indices were announced after market close on Friday 29th November 2024.
There will be 16 ADDs/DELs for CSI 300 and 50 ADDs/DELs for CSI 500.
The CSI 300 and CSI 500 index rebal events could trigger US$4.5bn and US$3.8bn in one-way flows respectively.


Quiddity CSI 300/​​500 Dec 24 Results: ~90% Hit Rate; Positive Start for the Trade

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Sieyuan Electric Co Ltd A / Index Rebalance

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials and Materials sectors could gaining 2 spots each and the Information Technology sector losing 3 spots.</li>
<li>Estimated one-way turnover of 3% at the December rebalance leading to a one-way trade of CNY 30.2bn (US$4.3bn). There are 14 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the forecast deletes over the last month despite rising markets and a wall of money flowing into <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> ETFs.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials and Materials sectors could gaining 2 spots each and the Information Technology sector losing 3 spots.
Estimated one-way turnover of 3% at the December rebalance leading to a one-way trade of CNY 30.2bn (US$4.3bn). There are 14 stocks with over 2x ADV to trade.
The forecast adds have outperformed the forecast deletes over the last month despite rising markets and a wall of money flowing into Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) ETFs.


CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

External broker reports(aggregated public sources), CMB International

CMB International

External broker reports(aggregated public sources)

Incorporated in Hong Kong, supported by the mainland and targeting in global market, CMB International Capital Corporation Limited (“CMBI”) is an integrated financial institution providing comprehensive and professional services. As a wholly-owned subsidiary of China Merchants Bank ("CMB"), by leveraging on the Group’s synergy and coordination in domestic and overseas markets, as well as CMB’s strong resources and outstanding social reputation, CMBI and its subsidiaries have been actively implementing diversified business strategies and set up an overall layout of main business segments including Corporate Finance, Asset Management, Wealth Management, Global Markets and Structured Finance, etc. Adhering to the philosophy of “being clients oriented and increasing our own values by the way of creating value for clients”, CMBI endeavors to provide quality and integrated financial services to institutional, corporate and individual customers both domestic and overseas including Hong Kong IPO sponsorship and underwriting, share placement and rights issue for listed companies, financial advisors, bonds issuance services, asset management, direct investment, wealth management, equity sales and trading, etc.

Thematic (Sector/Industry)

<ul><li>China’s stock markets (both A/H shares) have soared recently on government stimulus policies.</li><li>Per Reuters, Chinese stocks recorded their biggest single-day gains since 2008, with highest turnover (domestic A-share) on 30 Sep.</li><li>As of 2 Oct 2024, HSI and CSI 300 have surged 32.2% and 18.5% YTD, respectively, currently ranking as top performing indices globally. </li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

China’s stock markets (both A/H shares) have soared recently on government stimulus policies.Per Reuters, Chinese stocks recorded their biggest single-day gains since 2008, with highest turnover (domestic A-share) on 30 Sep.As of 2 Oct 2024, HSI and CSI 300 have surged 32.2% and 18.5% YTD, respectively, currently ranking as top performing indices globally. Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

Semiconductors - Sector Valuation Revisit After Recent Rally; Potential Rerating Opportunities Ahead

China Shipbuilding Industry Group Power / Index Rebalance

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.</li>
<li>We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.</li>
<li>Impact on the stocks has increased as creations in ETFs linked to the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a> continue. That flow will reverse from the deletions in the next few months.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials sector gaining 3 index spots and the Information Technology sector losing 3 spots.
We estimate one-way turnover of 2.9% at the rebalance leading to a one-way trade of CNY 21.96bn (US$3.1bn). There are 22 stocks with over 3x ADV to trade.
Impact on the stocks has increased as creations in ETFs linked to the CSI 300 Index continue. That flow will reverse from the deletions in the next few months.


CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Event-Driven

Cambricon Technologies  Lt / Event-Driven

<ul>
<li>The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.</li>
<li>Last week saw NORTHBOUND net SELL RMB +19.3bn of A-shares. NORTHBOUND sold everything. Consumer, Finance, and Energy hit hardest.</li>
<li>Net flows as a percentage of value traded are clearly "short gamma", but the net buys this week were of stocks previously a net sell. </li>
</ul>


The Quiddity Mainland Connect NORTHBOUND Monitor. Like the A/H Premium Monitor and HK Connect SOUTHBOUND Monitor. Lots of Flows/Position Tables and Charts with which to play.
Last week saw NORTHBOUND net SELL RMB +19.3bn of A-shares. NORTHBOUND sold everything. Consumer, Finance, and Energy hit hardest.
Net flows as a percentage of value traded are clearly "short gamma", but the net buys this week were of stocks previously a net sell. 


Mainland Connect NORTHBOUND Flows (To 19 July 2024): A Big Broad Sell in Third Plenum Week

China

Eoptolink Technology Inc., Ltd.  designs and manufactures communication components.  The Company sells a variety of optical transceiver modules.  Eoptolink Technology sells products around the world.

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Eoptolink Technology (300502 CH)

Quiddity CSI 300/500 Dec 24 Results: ~90% Hit Rate; Positive Start for the Trade

The LONGs have outperformed the Index by 2.2% since 5th November. The trade has to be now adjusted for the surprises in the latest index change...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

There could be 17 changes in Dec. Estimated 1-way turnover is 3%; 1-way trade is US$4.3bn. There are 14 stocks with over 2x ADV to trade. The adds...

Brian Freitas

Semiconductors - Sector Valuation Revisit After Recent Rally; Potential Rerating Opportunities Ahead

China’s stock markets (both A/H shares) have soared recently on government stimulus policies. Per Reuters, Chinese stocks recorded their biggest...

CMB International

CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

There could be 17 changes in Dec resulting in a round-trip trade of over US$6bn. 22 stocks have over 3x ADV to trade. The potential adds have...

Brian Freitas

Mainland Connect NORTHBOUND Flows (To 19 July 2024): A Big Broad Sell in Third Plenum Week

NORTHBOUND's net buy the previous week was a one-off perhaps. This week saw heavy net selling across the board. Not index-weighted.

Travis Lundy

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52-week Range

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Quiddity CSI 300/​​500 Dec 24 Results: ~90% Hit Rate; Positive Start for the Trade

The LONGs have outperformed the Index by 2.2% since 5th November. The trade has to be now adjusted for the surprises in the latest index change...

Janaghan Jeyakumar, CFA

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

There could be 17 changes in Dec. Estimated 1-way turnover is 3%; 1-way trade is US$4.3bn. There are 14 stocks with over 2x ADV to trade. The adds...

Brian Freitas

Semiconductors - Sector Valuation Revisit After Recent Rally; Potential Rerating Opportunities Ahead

China’s stock markets (both A/H shares) have soared recently on government stimulus policies. Per Reuters, Chinese stocks recorded their biggest...

CMB International

CSI300 Index Rebalance Preview: Round-Trip Trade Tops US$6bn as ETF Creations Soar

There could be 17 changes in Dec resulting in a round-trip trade of over US$6bn. 22 stocks have over 3x ADV to trade. The potential adds have...

Brian Freitas

Mainland Connect NORTHBOUND Flows (To 19 July 2024): A Big Broad Sell in Third Plenum Week

NORTHBOUND's net buy the previous week was a one-off perhaps. This week saw heavy net selling across the board. Not index-weighted.

Travis Lundy

Quiddity CSI 300/500 Dec 24 Results: ~90% Hit Rate; Positive Start for the Trade